Articles by Mauro Cesa
Podcast: Zetocha on mini-futures (not those) and illiquid options
Julius Baer equity quant revels in solving problems for the trading desk
Podcast: Halperin on reinforcement learning and option pricing
Fidelity quants working on machine learning techniques to optimise investment strategies
Bot’s job? Quants question AI’s model validation powers
But supervisors cautiously welcome next-gen model risk management
Podcast: Piterbarg and Antonov on alternatives to neural networks
Two novel approximation techniques can overcome the curse of dimensionality
A new approach to marking volatility of illiquid options
Julius Baer quant’s arbitrage-free solution overcomes challenge of sparse data
Quants search for way to size crypto bets
Standard models say as much as 4% of a diversified portfolio could go into digital assets
Podcast: the right way to wrong-way risk and climate risk in XVA
MUFG quant thinks outside the box on risk management
Should you hedge or should you wait?
New paper introduces quantitative framework for optimal FX hedging
Adia hires three to join its growing supergroup of quants
Alexandre Antonov, Adil Reghai and Andrey Itkin join unit at world’s third-largest wealth fund
Podcast: the remaining challenges for Libor transition
Rates quant says swaptions fallbacks turn cash-settled vanilla products into exotics
Getting the jump on pricing dividend-protected derivatives
Morgan Stanley quants show how to avoid mispricing corporate options and convertible bonds
A new way to calculate conditional expectations
Gaussian distributions can sharpen one of the most commonly used tools in quant finance
Podcast: Ritter on optimal execution and reinforcement learning
Hedge fund quant describes a simple rule of thumb for portfolio turnover
Reviving the lost art of perturbation for exotic pricing
Natixis quants find novel way to speed up volatility smile modelling
Podcast: Lipton on (un)stablecoins and FX market-making
Veteran quant has long warned about fundamental flaws in algorithmic stablecoins
How to model potential exposure, post-Archegos
BofA quant’s model considers the correlation between market shocks and counterparty defaults
A look at asset liquidation from a different angle
Quants propose a novel approach to assess liquidation cost and stress-testing for hard-to-sell assets
Deep hedging pioneer Hans Buehler quits JP Morgan
Former global head of equities analytics will be joining XTX Markets
Kurtosis optimisation gives portfolios a shock absorber
Hedge fund quant shows how an alternative to PCA makes risk management more robust
Podcast: Hans Buehler on the data science behind deep hedging
Top JP Morgan quant stresses importance of ‘de-trending’ training datasets used in machine learning
Podcast: UBS’s Gordon Lee on conditional expectations and XVAs
Top quant explains why XVA desks need a neighbour and a reverend
Rough volatility moves to exotic frontiers
New simulation scheme clears the way for broader application of the rough Heston model
JP Morgan testing deep hedging of exotics
Neural network trained to hedge complex options using simulated data expected to go live this year
What quant finance can learn from a 240-year-old problem
Optimal transport theory offers a data-driven way to calibrate derivatives pricing models